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You probably want zeros in place of the blank observations. How did you create your series? I created three series: for r_index, I entered daily returns observations from day 1 to day 1000; for r_pv, i entered changes of daily volatility( i.e. t - t(-1) ), and the same for r_nv. But as I mentioned ...

I want to examine the asymmetric relationship between the returns on the stock index and the returns on volatility by separating the positive and negative returns on volatility, the regression I want to estimate looks like this: R_Index C R_PV R_NV Both sets of data are based on daily returns. I tri...